Exercise increases the expression and interaction of major neurotrophic factors such as brain-derived neurotrophic factor (BDNF), insulin-like growth factor-1 (IGF-1), and vascular endothelial growth factor (VEGF) at both central and peripheral tissues, which contributes to improved brain and neural plasticity and cognitive function. Previous findings have been to understand the effect of light or moderate intensity aerobic exercise on neurotrophic factors and cognitive function, not that of high intensity aerobic exercise. However, recent findings suggest that high intensity interval training is a safe, less time-consuming, efficient way to improve cardiorespiratory fitness and weight control, thus American College of Sport Medicine (ACSM)’s guidelines for exercise prescription for various adult populations also recommend the application of high intensity interval training to promote their overall health. High intensity interval training also enhances the expression of BDNF, IGF-1, and VEGF at the brain and peripheral tissues, which improves cognitive function. Increased frequency of intermittent hypoxia and increased usage of lactate as a supplementary metabolic resource at the brain and neural components are considered a putative physiological mechanism by which high intensity interval training improves neurotrophic factors and cognitive function. Therefore, future studies are required to understand how increased hypoxia and lactate usage leads to the improvement of neurotrophic factors and what the related biological mechanisms are. In addition, by comparing with the iso-caloric moderate continuous exercise, the superiority of high intensity interval training on the expression of neurotrophic factors and cognitive function should be demonstrated by associated future studies.